Including commodity futures in asset allocation in China

DOI10.1080/14697688.2018.1444554zbMath1483.91237OpenAlexW2801887377MaRDI QIDQ5026528

Qingfu Liu, Yiuman Tse, Lin-Lin Zhang

Publication date: 8 February 2022

Published in: Quantitative Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/14697688.2018.1444554

zbMATH Keywords

asset allocationChinese commodity futuresportfolio gainsrisk spillovers

Mathematics Subject Classification ID

Statistical methods; risk measures (91G70) Derivative securities (option pricing, hedging, etc.) (91G20) Portfolio theory (91G10)

Cites Work

• Conditional Heteroskedasticity in Asset Returns: A New Approach
• Portfolio selection with higher moments